Bauwens, Luc (contributor); Pohlmeier, Winfried (contributor) - 2008
cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market … range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional … volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …